E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 12-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Jun-2009 |
12-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
936.00 |
937.50 |
1.50 |
0.2% |
928.50 |
| High |
952.75 |
942.75 |
-10.00 |
-1.0% |
952.75 |
| Low |
932.75 |
931.25 |
-1.50 |
-0.2% |
921.25 |
| Close |
938.25 |
940.75 |
2.50 |
0.3% |
940.75 |
| Range |
20.00 |
11.50 |
-8.50 |
-42.5% |
31.50 |
| ATR |
21.97 |
21.22 |
-0.75 |
-3.4% |
0.00 |
| Volume |
399,761 |
1,874,660 |
1,474,899 |
368.9% |
2,586,962 |
|
| Daily Pivots for day following 12-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
972.75 |
968.25 |
947.00 |
|
| R3 |
961.25 |
956.75 |
944.00 |
|
| R2 |
949.75 |
949.75 |
942.75 |
|
| R1 |
945.25 |
945.25 |
941.75 |
947.50 |
| PP |
938.25 |
938.25 |
938.25 |
939.50 |
| S1 |
933.75 |
933.75 |
939.75 |
936.00 |
| S2 |
926.75 |
926.75 |
938.75 |
|
| S3 |
915.25 |
922.25 |
937.50 |
|
| S4 |
903.75 |
910.75 |
934.50 |
|
|
| Weekly Pivots for week ending 12-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,032.75 |
1,018.25 |
958.00 |
|
| R3 |
1,001.25 |
986.75 |
949.50 |
|
| R2 |
969.75 |
969.75 |
946.50 |
|
| R1 |
955.25 |
955.25 |
943.75 |
962.50 |
| PP |
938.25 |
938.25 |
938.25 |
942.00 |
| S1 |
923.75 |
923.75 |
937.75 |
931.00 |
| S2 |
906.75 |
906.75 |
935.00 |
|
| S3 |
875.25 |
892.25 |
932.00 |
|
| S4 |
843.75 |
860.75 |
923.50 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
952.75 |
921.25 |
31.50 |
3.3% |
18.50 |
2.0% |
62% |
False |
False |
517,392 |
| 10 |
953.00 |
912.25 |
40.75 |
4.3% |
20.00 |
2.1% |
70% |
False |
False |
273,777 |
| 20 |
953.00 |
871.00 |
82.00 |
8.7% |
21.25 |
2.3% |
85% |
False |
False |
142,038 |
| 40 |
953.00 |
819.75 |
133.25 |
14.2% |
22.00 |
2.3% |
91% |
False |
False |
73,772 |
| 60 |
953.00 |
758.25 |
194.75 |
20.7% |
23.50 |
2.5% |
94% |
False |
False |
49,637 |
| 80 |
953.00 |
662.00 |
291.00 |
30.9% |
24.50 |
2.6% |
96% |
False |
False |
37,251 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
991.50 |
|
2.618 |
972.75 |
|
1.618 |
961.25 |
|
1.000 |
954.25 |
|
0.618 |
949.75 |
|
HIGH |
942.75 |
|
0.618 |
938.25 |
|
0.500 |
937.00 |
|
0.382 |
935.75 |
|
LOW |
931.25 |
|
0.618 |
924.25 |
|
1.000 |
919.75 |
|
1.618 |
912.75 |
|
2.618 |
901.25 |
|
4.250 |
882.50 |
|
|
| Fisher Pivots for day following 12-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
939.50 |
939.75 |
| PP |
938.25 |
938.75 |
| S1 |
937.00 |
938.00 |
|